MarketPath.java

  1. package org.drip.exposure.universe;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>MarketPath</i> holds the Vertex Market Realizations at the Trajectory Vertexes along the Path of a
  81.  * Simulation. The References are:
  82.  *  
  83.  * <br><br>
  84.  *      <ul>
  85.  *          <li>
  86.  *              Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
  87.  *                  (12)</b> 82-87
  88.  *          </li>
  89.  *          <li>
  90.  *              Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  91.  *          </li>
  92.  *          <li>
  93.  *              Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
  94.  *                  party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  95.  *          </li>
  96.  *          <li>
  97.  *              Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
  98.  *                  86-90
  99.  *          </li>
  100.  *          <li>
  101.  *              Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
  102.  *                  Pricing <i>Risk</i> <b>21 (2)</b> 97-102
  103.  *          </li>
  104.  *          <li>
  105.  *      </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
  111.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/README.md">Exposure Group Level Collateralized/Uncollateralized Exposure</a></li>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/universe/README.md">Exposure Generation - Market States Simulation</a></li>
  113.  *  </ul>
  114.  * 
  115.  * @author Lakshmi Krishnamurthy
  116.  */

  118. public class MarketPath
  119. {
  120.     private org.drip.analytics.date.JulianDate[] _vertexDateArray = null;
  121.     private org.drip.exposure.universe.MarketVertex _epochalMarketVertex = null;
  122.     private org.drip.exposure.universe.MarketVertex _terminalMarketVertex = null;
  123.     private java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> _marketVertexTrajectory
  124.         = null;

  126.     /**
  127.      * Generate the Market Path from Market Vertex Array
  128.      * 
  129.      * @param marketVertexArray The Market Vertex Array
  130.      * 
  131.      * @return The Market Path
  132.      */

  134.     public static final MarketPath FromMarketVertexArray (
  135.         final org.drip.exposure.universe.MarketVertex[] marketVertexArray)
  136.     {
  137.         if (null == marketVertexArray)
  138.         {
  139.             return null;
  140.         }

  142.         int vertexCount = marketVertexArray.length;

  144.         if (0 == vertexCount)
  145.         {
  146.             return null;
  147.         }

  149.         java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> marketVertexTrajectory =
  150.             new java.util.TreeMap<java.lang.Integer, org.drip.exposure.universe.MarketVertex>();

  152.         for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
  153.         {
  154.             int marketVertexDate = marketVertexArray[vertexIndex].anchorDate().julian();

  156.             if (marketVertexTrajectory.containsKey (marketVertexDate))
  157.             {
  158.                 return null;
  159.             }

  161.             marketVertexTrajectory.put (
  162.                 marketVertexDate,
  163.                 marketVertexArray[vertexIndex]
  164.             );
  165.         }

  167.         try
  168.         {
  169.             return new MarketPath (marketVertexTrajectory);
  170.         }
  171.         catch (java.lang.Exception e)
  172.         {
  173.             e.printStackTrace();
  174.         }

  176.         return null;
  177.     }

  179.     /**
  180.      * MarketPath Constructor
  181.      * 
  182.      * @param marketVertexTrajectory Date Map of the Market Vertexes
  183.      * 
  184.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  185.      */

  187.     public MarketPath (
  188.         final java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> marketVertexTrajectory)
  189.         throws java.lang.Exception
  190.     {
  191.         if (null == (_marketVertexTrajectory = marketVertexTrajectory))
  192.         {
  193.             throw new java.lang.Exception ("MarketPath Constructor => Invalid Inputs");
  194.         }

  196.         int vertexCount = _marketVertexTrajectory.size();

  198.         if (0 == _marketVertexTrajectory.size())
  199.         {
  200.             throw new java.lang.Exception ("MarketPath Constructor => Invalid Inputs");
  201.         }

  203.         int vertexIndex = 0;
  204.         _vertexDateArray = new org.drip.analytics.date.JulianDate[vertexCount];

  206.         for (java.util.Map.Entry<java.lang.Integer, org.drip.exposure.universe.MarketVertex>
  207.             marketVertexMapEntry : _marketVertexTrajectory.entrySet())
  208.         {
  209.             org.drip.exposure.universe.MarketVertex marketVertex = marketVertexMapEntry.getValue();

  211.             if (0 == vertexIndex)
  212.             {
  213.                 _epochalMarketVertex = marketVertex;
  214.             }

  216.             _vertexDateArray[vertexIndex++] = marketVertex.anchorDate();

  218.             if (vertexCount == vertexIndex)
  219.             {
  220.                 _terminalMarketVertex = marketVertex;
  221.             }
  222.         }
  223.     }

  225.     /**
  226.      * Retrieve the Array of the Vertex Anchor Dates
  227.      * 
  228.      * @return The Array of the Vertex Anchor Dates
  229.      */

  231.     public org.drip.analytics.date.JulianDate[] anchorDates()
  232.     {
  233.         return _vertexDateArray;
  234.     }

  236.     /**
  237.      * Retrieve the Trajectory of the Market Vertexes
  238.      * 
  239.      * @return The Market Vertex Trajectory
  240.      */

  242.     public java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> trajectory()
  243.     {
  244.         return _marketVertexTrajectory;
  245.     }

  247.     /**
  248.      * Retrieve the Array of the Market Vertexes
  249.      * 
  250.      * @return The Market Vertex Array
  251.      */

  253.     public org.drip.exposure.universe.MarketVertex[] marketVertexArray()
  254.     {
  255.         int vertexCount = _marketVertexTrajectory.size();

  257.         int vertexIndex = 0;
  258.         org.drip.exposure.universe.MarketVertex[] marketVertexArray = new
  259.             org.drip.exposure.universe.MarketVertex[vertexCount];

  261.         for (java.util.Map.Entry<java.lang.Integer, org.drip.exposure.universe.MarketVertex>
  262.             marketVertexMapEntry : _marketVertexTrajectory.entrySet())
  263.         {
  264.             marketVertexArray[vertexIndex++] = marketVertexMapEntry.getValue();
  265.         }

  267.         return marketVertexArray;
  268.     }

  270.     /**
  271.      * Retrieve the Epochal Market Vertex
  272.      * 
  273.      * @return The Epochal Market Vertex
  274.      */

  276.     public org.drip.exposure.universe.MarketVertex epochalMarketVertex()
  277.     {
  278.         return _epochalMarketVertex;
  279.     }

  281.     /**
  282.      * Retrieve the Terminal Market Vertex
  283.      * 
  284.      * @return The Terminal Market Vertex
  285.      */

  287.     public org.drip.exposure.universe.MarketVertex terminalMarketVertex()
  288.     {
  289.         return _terminalMarketVertex;
  290.     }

  292.     /**
  293.      * Indicate if the Market Vertex is available for the Specified Date
  294.      * 
  295.      * @param vertexDate The Vertex Date
  296.      * 
  297.      * @return TRUE - The Market Vertex is available for the Specified Date
  298.      */

  300.     public boolean containsDate (
  301.         final int vertexDate)
  302.     {
  303.         return _marketVertexTrajectory.containsKey (vertexDate);
  304.     }

  306.     /**
  307.      * Retrieve the Market Vertex for the Specified Date
  308.      * 
  309.      * @param vertexDate The Vertex Date
  310.      * 
  311.      * @return The Market Vertex for the Specified Date
  312.      */

  314.     public org.drip.exposure.universe.MarketVertex marketVertex (
  315.         final int vertexDate)
  316.     {
  317.         return containsDate (vertexDate) ? _marketVertexTrajectory.get (vertexDate) : null;
  318.     }
  319. }
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